Japanese yen
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
Q&A: Japan RFR group head on term rates and Tonar liquidity
MUFG’s Matsuura discusses term benchmark options, cross-currency swaps and Tibor’s future
Fallback decision will lift yen OIS, says Japan RFR group chair
Move should kick-start dormant Tonar OIS market – key requirement to building a term rate
Swaps data: volumes up amid volatility
Data shows strong growth in cleared OTC derivative volumes in second half of 2018, says Amir Khwaja
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Giancarlo speech drives LCH-JSCC basis fall
CFTC chief backs US swap clearing on foreign CCPs, sparking 46% move in basis
Interest rate derivatives values fall to pre-crisis low
The value of interest rate derivatives plummeted more than 16% to $7.6 trillion in the second half of 2017
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Broker hid yen swaptions basis after trader backlash
Japan’s Totan had been first to show volatility basis; sources speculate traders wanted to avoid re-marking books
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Taper talk drives wild swings in JSCC-LCH basis
Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week
Monthly swaps data review: analysing CCP and Sef volumes
Data shows strong growth at LCH and JSCC, while OIS products surge
Benchmark fallbacks should be regulated, says industry
Fears of basis risk unless all users are obliged to write backup rates into legacy contracts
SGX to charge negative interest to clearing members
Excess euro and yen cash deposits expected to generate 20–40bp charge
Negative rates force decline in yen life products
Japan’s life firms are increasingly focused on foreign-currency products
LCH-JSCC basis to boost XVA acceptance in Japan
Prices now "can't be explained without reference to XVAs", says Nomura credit head
LCH-JSCC basis rockets for cleared yen swaps
Cost of receive-fixed swaps at JSCC jumps fivefold in a week
For a few dollars more: Japan banks tackle dollar/yen basis jump
Soaring cross-currency swap prices force dollar funding rethink
Dollar/yen basis blows out as leverage ratio bites US banks
Basis at its widest since European banks faced a global dollar funding squeeze in 2012
Only 4% of Japan swaps have traded electronically
ETP volumes are low despite mandate and participants are worried about regulation's future scope
Q&A: BoJ's Nakaso on QE, JGB liquidity and Basel III
Coherence of new Basel rules needs study, says BoJ deputy governor
Japan banks still not pricing CVA into derivatives trades
A loans-focused business model means credit risk mitigation a low priority
Japan regulators further relax electronic trading mandate
JFSA initially to mandate only three tenors of IRS for platform trading